Backtest: SPDR S&P 500 ETF Trust (SPY)
| Details: | ||||||
|---|---|---|---|---|---|---|
| Signals | SPY Performance (30 Days After Signal) 18 Observations, 5 Years, Non-overlapping | |||||
| Date | Signal | Price | Low | High | 30 Days | Final |
| 17-May-2017 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 217.53 | 0.40% | 4.25% | 2.84% | |
| 10-Aug-2017 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 225.95 | -0.43% | 3.09% | 2.84% | |
| 02-Feb-2018 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 257.91 | -6.47% | 1.24% | -1.41% | |
| 22-Mar-2018 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 247.87 | -2.35% | 2.55% | 0.89% | |
| 10-Oct-2018 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 263.98 | -5.19% | 0.97% | -4.77% | |
| 07-Dec-2018 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 250.01 | -10.57% | 1.69% | 0.52% | |
| 08-Mar-2019 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 261.86 | 1.45% | 6.23% | 6.23% | |
| 13-May-2019 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 269.15 | -2.24% | 5.34% | 4.03% | |
| 05-Aug-2019 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 273.31 | 0.03% | 6.16% | 6.02% | |
| 02-Oct-2019 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 278.67 | 0.16% | 7.30% | 7.30% | |
| 31-Jan-2020 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 312.77 | -25.45% | 5.16% | -25.45% | |
| 13-May-2020 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 275.37 | 1.20% | 14.77% | 9.62% | |
| 26-Jun-2020 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 294.70 | 1.47% | 11.84% | 11.84% | |
| 10-Sep-2020 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 327.94 | -2.98% | 5.98% | 3.62% | |
| 28-Oct-2020 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 322.12 | -0.04% | 13.32% | 12.27% | |
| 29-Jan-2021 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 366.49 | 1.66% | 7.12% | 7.12% | |
| 12-May-2021 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 402.80 | 1.20% | 5.20% | 5.20% | |
| 19-Jul-2021 | Signal (1) Daily $SPX.PCTASMA10 crossed below LEVEL(20) | 423.61 | 1.43% | 6.41% | 6.41% | |
| Averages | -2.60% | 6.03% | 3.06% | |||